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Sure you can. Sharpe Ratio is defined as: $$ SR=\frac{E(R)-R_f}{\sqrt{Var(R)}} $$ When you have a risk-free asset, the efficient frontier becomes linear (i.e. the line that passes from the $R_f$ and the tangent portfolio), named Capital Market Line (CML) and $SR$ denotes its slope. So lower $SR$ means that your portfolio does not lie on the efficient ...



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